Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/454345
Title: Arbitrage opportunities and efficiency of an emerging option market: The Case of KOSPI 200 options in Korea
Authors: Ahn, Chun Youp
Park, Hun Y.
Byoun, Soku
Conference Name: The thirteenth Annual PACAP/FMA Finance Conference
Keywords: KOSPI 200
Investment strategy
Arbitrage
Conference Date: 2001-07-05
Conference Location: Westin Chosun Hotel, Seoul, Korea
Radisson Plaza Hotel, Seoul, Korea
Abstract: This study investigates arbitrage opportunities and efficiency of the KOSPI 200 options in Korea, an emerging option market but the fastest growing and the most actively traded index option market in the world. Several no-arbitrage conditions are considered including lower boundary conditions of call and put prices, option price relations independent of underlying index, put-call parity, and box spread arbitrage conditions. Overall, there exist sizable arbitrage opportunities when the arbitrage conditions involve both options and the underlying index. However, few arbitrage opportunities exist when the arbitrage conditions are formed independent of the underlying index. There are more frequent no-arbitrage violations during opening and closing hours, on near-maturity days, and with in-the-money options.
Pages: 14
Call Number: HG4026.A536 2001 katsem
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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